This is a BFGS optimizer.

Features:

• Advanced line search with "zoom" and many safeguards, following Nocedal and Wright, especially Chapters 3 and 7.
• New techniques for solving optimization problems with significantly more noise in the function evaluation than in the gradient. This could be relevant for numerical applications where an accurate discrete gradient can be computed around a given partially converged solution.

make <clean, new, install>

./cbfgs

To select different coded examples, edit main.c

To change optimizer settings, edit bfgs.c

To experiment with noisy functions, set CONVEX_NOISY = 1 in bfgs.c and use the noisy function in main.c